Optimal Range of Sharpe Ratio of a Portfolio Model with Interval Parameters

Autor:	Pankaj Kumar, Geetanjali Panda, Ajay Kumar Bhurjee
Rok vydání:	2015
Předmět:	Rate of return on a portfolio Hansen–Jagannathan bound Modigliani risk-adjusted performance Mathematical optimization Computer Science::Computational Engineering Finance and Science Sharpe ratio Omega ratio Econometrics Economics Roy's safety-first criterion Portfolio optimization V2 ratio
Zdroj:	Journal of Information and Optimization Sciences. 36:367-384
ISSN:	2169-0103 0252-2667
DOI:	10.1080/02522667.2014.962816
Popis:	This paper proposes a Sharpe ratio portfolio optimization model wherein the expected return, variance and covariance of stocks vary in closed intervals. Objective function of this model is a nonlinear interval valued function. A solution methodology is developed for this model to obtain an efficient portfolio which provides the upper and lower bound of maximum value of the Sharpe ratio. The theoretical development is illustrated in a portfolio selection problem with historical data from the Indian Stock Market.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::c8c9d143711ae24cec7e3dfcc104ef26 https://doi.org/10.1080/02522667.2014.962816 Zobrazit plný text záznamu